We present empirical evidence from the primary market for cat bonds, which provides new insights concerning the prevailing pricing practice of these instruments. For this purpose, transactional information from a multitude of sources has been collected and cross-checked in order to compile a data set comprising virtually all cat bond tranches that were launched between June 1997 and December 2012. In order to identify the main determinants of the cat bond spread at issuance, a series of OLS regressions with heteroskedasticity-and autocorrelation-consistent standard errors is run. Our results confirm the expected loss as the most important factor. Apart from that, covered territory, sponsor, reinsurance cycle, and the spreads on comparably rated corporate bonds exhibit a major impact. Based on these findings, we then propose an econometric cat bond pricing model that is applicable for all territories, perils, and trigger types. It exhibits a robust fit across different calibration subsamples and achieves a higher in-sample and out-of-sample accuracy than several competing specifications that have been introduced in earlier work.
ist , was die 2 ersten Ausdrücke betrifft , zu bemerken , dass die Begriffe des Abwechseins und Entgegenstehens sich keineswegs ausschliessen , denn a) es können nicht nur folia alterna nach der Linneischen Festsetzung des Begriffs («quorum unum post alterum tanquam per gradus exiV **) , also offenbar nichts anders als in verschiedene Höhen auseinandergerückte oder durch Interfolien ***) getrennte Blätter) ihrer *) De Cand. Organogr. Tom. I. p. 3a8. u. 029.
In this article, we comprehensively analyze open-end funds dedicated to investing in U.S. senior life settlements. We begin by explaining their business model and the roles of institutions involved in the transactions of such funds. Next, we conduct the first empirical analysis of life settlement fund return distributions as well as a performance measurement, including a comparison to other asset classes. Since the funds contained in our data set cover a large fraction of this relatively young segment of the capital markets, representative conclusions can be derived. Even though the empirical results suggest that life settlement funds offer attractive returns paired with low volatility and are virtually uncorrelated with other asset classes, we find latent risk factors such as liquidity, longevity, and valuation risks. Since these risks did generally not materialize in the past and are hence largely not reflected by the historical data, they cannot be captured by classical performance measures. Thus, caution is advised in order not to overestimate the performance of this asset class.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.